Voting and non-voting shares of ten German companies are analyzed for fractional cointegration. It turns out that seven pairs of price series are fractionally cointegrated, which means that for each pair there is a linear combination of the two series that is a long-memory process. If two stocks are fractionally cointegrated, future returns of at least one of the stocks can be predicted by past...

Tax-Loss Trading and Wash Sales An analysis of trades in the Finnish stock market around the turn of the year 1994-95, 199596, and 1996-97 shows that Finnish investors tend to realize losses more than gains towards the end of December. They also buy back the same stocks they recently sold, with a repurchase rate that depends on the size of the capital loss and how close the sale is to the end o...

We study the price dynamics of stocks traded in the NASDAQmarket by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by extracting its first two central moments. According to previous results obtained for the NYSE market, we find that the second moment is a long-range correlated...

Three studies investigated the impact of the psychological principle of fluency (that people tend to prefer easily processed information) on short-term share price movements. In both a laboratory study and two analyses of naturalistic real-world stock market data, fluently named stocks robustly outperformed stocks with disfluent names in the short term. For example, in one study, an initial inv...

Using novel data from a crowdsourcing platform for ranking stocks, we investigate how investors form expectations about stock returns over the next week. We find that extrapolate stocks’ recent past returns, with more weight on especially when are negative, salient, or dispersed cross-section. Such extrapolative beliefs stronger among nonprofessionals and large stocks. Moreover, consensus ranki...

Previous research suggests that individual investor sentiment has incremental explanatory power for returns of small cap stocks, value stocks, stocks with low institutional ownership, and stocks with lower prices (Kumar and Lee (2003)) and that there is a strong link between institutional sentiment and the returns of large stocks (Brown and Cliff (2004)). With respect to return volatility, Jack...

In this study, we examine how initial public offerings (IPO) entry rates are affected when stock markets are boundedly rational and IPO firms infer information from their counterparts in the market. We hypothesize a curvilinear relationship between the number of comparable stocks and initial public offerings (IPO) entry rates into the NASDAQ Stock Exchange. Furthermore, we argue that trading vo...

We examine the dynamic relation between return and volume of individual stocks. Using a simple model in which investors trade to share risk or speculate on private information, we show that returns generated by risk-sharing trades tend to reverse themselves, while returns generated by speculative trades tend to continue themselves. We test this theoretical prediction by analyzing the relation b...